Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0129
Annualized Std Dev 0.3613
Annualized Sharpe (Rf=0%) -0.0358

Row

Daily Return Statistics

Close
Observations 3565.0000
NAs 1.0000
Minimum -0.2636
Quartile 1 -0.0097
Median 0.0004
Arithmetic Mean 0.0002
Geometric Mean -0.0001
Quartile 3 0.0107
Maximum 0.1731
SE Mean 0.0004
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0010
Variance 0.0005
Stdev 0.0228
Skewness -0.4458
Kurtosis 11.9381

Downside Risk

Close
Semi Deviation 0.0165
Gain Deviation 0.0162
Loss Deviation 0.0178
Downside Deviation (MAR=210%) 0.0208
Downside Deviation (Rf=0%) 0.0164
Downside Deviation (0%) 0.0164
Maximum Drawdown 0.8212
Historical VaR (95%) -0.0329
Historical ES (95%) -0.0545
Modified VaR (95%) -0.0345
Modified ES (95%) -0.0630
From Trough To Depth Length To Trough Recovery
2014-06-24 2020-03-18 NA -0.8212 1698 1444 NA
2008-06-24 2009-03-06 2013-10-22 -0.6567 1312 167 1145
2008-01-04 2008-01-23 2008-04-09 -0.1893 66 13 53
2007-07-24 2007-08-16 2007-09-19 -0.1367 41 18 23
2006-12-15 2007-01-11 2007-04-03 -0.1324 66 15 51

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA 0 -0.4 -0.4
2007 0.4 0 -0.7 0.5 0.4 0.4 -2.2 1.8 0.6 -2 1.1 -1 -0.7
2008 0.7 -3.3 1.7 -1.7 1.5 -0.2 0.3 -0.8 1.2 3.9 -11.7 5.4 -4.1
2009 -2.4 -1.5 0.6 5.4 5.7 0.7 1 -1.5 -1.7 -4.4 1.6 -0.6 2.4
2010 3.2 1.5 1.8 -0.9 -6.2 -0.4 0.1 4.4 0.9 1 2.6 0.1 8.2
2011 1.2 -2.4 0.3 1.7 -2.1 0.9 -0.1 -0.7 -2 -3.3 -0.4 0.9 -6.2
2012 0.4 0.8 1.2 2.3 -2.6 3.3 0.3 1 0.7 0.8 0.4 0.7 9.4
2013 1.1 -0.6 -0.7 -0.9 -2.3 1 1.7 -0.2 0.8 -0.2 -0.1 1 0.4
2014 -0.6 0.7 0.8 -0.5 -0.4 -0.3 -0.7 1 -2.1 2.1 -0.3 -0.7 -1.1
2015 2.1 -0.4 0.4 0.6 -0.6 -1.9 -1.5 -4 -0.3 1.3 1 1.6 -1.8
2016 -2.3 2.2 -1.9 0.1 0.2 1.7 -4.1 -0.5 1.5 -0.4 0.3 -0.4 -3.8
2017 -0.6 2.1 0.4 -0.4 0.6 0.5 -0.7 1.4 -0.1 1.7 1.2 -0.4 5.9
2018 0.6 0.2 2.6 -0.6 0.4 0.5 -1.1 -0.7 1.2 1.2 -0.6 0.6 4.2
2019 0.8 1.9 1.4 -2.5 -1.8 0.1 -3.1 0.1 -2.4 3.4 -1.3 0.9 -2.6
2020 -2.5 1.1 -5.4 -7.7 2.8 -2.7 -0.2 -0.9 -3.4 0.9 0.4 -1 -17.4
2021 0.8 2.5 0.6 NA NA NA NA NA NA NA NA NA 3.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-11-07  49.1 SPY    139.  3.80e-3   0.006    0.0261   0.0916    0.134    0.303    0.233 GLD    62.0  0.00240   0.0299
2 2006-11-09  50.8 SPY    138. -5.30e-3   0.0102   0.0227   0.0879    0.129    0.314    0.227 GLD    63.0  0.0301    0.0166
3 2006-11-10  49.8 SPY    138.  4.00e-4   0.0125   0.0144   0.0876    0.121    0.315    0.226 GLD    62.5 -0.0073    0.003 
4 2006-11-16  50.2 SPY    140.  2.60e-3   0.0159   0.0277   0.0741    0.137    0.338    0.222 GLD    61.3 -0.0086   -0.0261
5 2006-11-17  49.7 SPY    140.  3.00e-4   0.0158   0.0264   0.0791    0.127    0.352    0.228 GLD    61.8  0.0077   -0.0114
6 2006-11-20  49.6 SPY    140.  6.00e-4   0.0139   0.0267   0.0798    0.123    0.342    0.214 GLD    61.8 -0.0002   -0.0068
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart